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Exchange change

We presently have both an exchange server and pop3 email.
for internal email we use the exchange server.
for external email we use the pop3 provider.
Our users download their emails using outlook to their desktop and their emails from outside are saved to our exchange server,  In addition we have the exchange access on each desktop.
They host our domain, do DNS, check for virus and spam.
We have spoke with them and they can still check for virus and spam for us we just can not nor do we want to use their online webmail.  We have outlook web access.
We would like to downlolad to the exchange server all emails and then the users access their emails there.  But I am not sure what changes I need to move it over to the exchange instead of users  desktop but then through their exchange in outlook get all emails.
what do I do
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What I understand is that the third party provider is acting as a smarthost, which means its the middle server for incoming and Outgoing external emails.

For external emails to get delivered to your exchange server, you need to do the following;

1. Make sure there is a MX record in Public DNS which must be pointing to an external IP of your firewall
2. The firewall must NAT the requests to the exchange server

For more details on MX record, you can refer to the following article;

Configure MX Records for Incoming SMTP E-Mail Traffic

As long as you have internet access from exchange server, you should be able to send out emails fine in exchange 2003. If there is exchange 2007/2010, then you need to configure a send connector.

For more details check this out
Configuring Exchange 2007 to Send E-mail to External domains

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we do not use them for smtp only for incoming email.
we use cox for smtp so would that cause an issue